This thesis develops a generic framework based on the Fourier transform for pricing and hedging of various options in equity, commodity, currency, and insurance markets. The pricing problem can be reduced to solving a partial integro-differential equation (PIDE). The Fourier Space Time-stepping (FST) framework developed in this thesis circumvents the problems associated with the existing finite difference methods by utilizing the Fourier transform to solve the PIDE. The FST framework-based methods are generic, highly efficient and rapidly convergent. The Fourier transform can be applied to the pricing PIDE to obtain a linear system of ordinary differential equations that can be solved explicitly. Solving the PIDE in Fourier space allows for the integral term to be handled efficiently and avoids the asymmetrical treatment of diffusion and integral terms, common in the finite difference schemes found in the literature. For path-independent options, prices can be obtained for a range of stock prices in one iteration of the algorithm. For exotic, path-dependent options, a time-stepping methodology is developed to handle barriers, free boundaries, and exercise policies. The thesis includes applications of the FST framework-based methods to a wide range of option pricing problems. Pricing of single- and multi-asset, European and path-dependent options under independent-increment exponential Levy stock price models, common in equity and insurance markets, can be done efficiently via the cornerstone FST method. Mean-reverting Levy spot price models, common in commodity markets, are handled by introducing a frequency transformation, which can be readily computed via scaling of the option value function. Generating stochastic volatility, to match the long-term equity options market data, and stochastic skew, observed in currency markets, is addressed by introducing a non-stationary extension of multi-dimensional Levy processes using regime-switching. Finally, codependent jumps in multi-asset models are introduced through copulas. The FST methods are computationally efficient, running in O(MN^d log_2 N) time with M time steps and N space points in each dimension on a d-dimensional grid. The methods achieve second-order convergence in space; for American options, a penalty method is used to attain second-order convergence in time. Furthermore, graphics processing units are utilized to further reduce the computational time of FST methods.

The paper deals with the second-order linear non-homogeneity differential equation with singular coefficients at zero as the equation order degeneration point. With this ground the boundary value problem is defined, investigated and solved in the class of bounded functions. The solution existence and uniqueness theorem is proved.

The system of the four partial fluxions of the primary row of differential equations the row of which dwindles at the points of plane has been analysed. The systems of the expressions of families of the detached solutions have been derived by converging degree rows at the environment of malformation rows through the technique of summation of degree rows. The solutions at the malformation points are particular for having degree particularities. Still, the particularities depend on the other to variables, in conformity to which there are no system malformation weigh. The effect is not evident in the analytical theory of malformed vulgar differential equation.

Išnagrinėta ketvirtos eilės išsigimstanti paprastoji diferencialinė lygtis. Laipsninių eilučių metodu sukonstruoti jos sprendiniai. Ištirta sprendinių struktūra ir nustatytas jų skaičius. / In this work Fourth order degenerate ordinary differential Schrödinger equation was studied. Methods of degree series is you solutions constructed. Structure of solutions and you number is explored.

In the dissertation, second-order and higher-order differential and discrete equations with additional conditions which are described by linearly independent linear functionals are investigated. The solutions to these problems, formulae and the existence conditions of Green's functions are presented, if the general solution of a homogeneous equation is known. The relation between two Green's functions of two nonhomogeneous problems for the same equation but with different additional conditions is obtained. These results are applied to problems with nonlocal boundary conditions. In the introduction the topicality of the problem is defined, the goals and tasks of the research are formulated, the scientific novelty of the dissertation, the methodology of research, the practical value and the significance of the results are presented. m-order differential problem and its Green's function are investigated in the first chapter. The relation between two Green's functions and the existence condition of Green's function are obtained. In the second chapter, the main definitions and results of the first chapter are formulated for the second-order differential equation with additional conditions. In the examples the application of the received results is analyzed for problems with nonlocal boundary conditions in detail. In the third chapter, the second-order difference equation with two additional conditions is considered. The expression of Green's function and its existence... [to full text] / Disertacijoje tiriami antros ir aukštesnės eilės diferencialinis ir diskretusis uždaviniai su įvairiomis, tame tarpe ir nelokaliosiomis, sąlygomis, kurios yra aprašytos tiesiškai nepriklausomais tiesiniais funkcionalais. Pateikiamos šių uždavinių Gryno funkcijų išraiškos ir jų egzistavimo sąlygos, jei žinoma homogeninės lygties fundamentalioji sistema. Gautas dviejų Gryno funkcijų sąryšis uždaviniams su ta pačia lygtimi, bet su papildomomis sąlygomis. Rezultatai pritaikomi uždaviniams su nelokaliosiomis kraštinėmis sąlygomis. Įvadiniame skyriuje aprašyta tiriamoji problema ir temos objektas, išanalizuotas temos aktualumas, išdėstyti darbo tikslai, uždaviniai, naudojama tyrimų metodika, mokslinis darbo naujumas ir gautų rezultatų reikšmė, pateikti ginamieji teiginiai ir darbo rezultatų aprobavimas. m-tosios eilės diferencialinis uždavinys ir jo Gryno funkcija nagrinėjami pirmajame skyriuje. Surastas uždavinio sprendinys, išreikštas per Gryno funkciją. Pateikta Gryno funkcijos egzistavimo sąlyga. Antrajame skyriuje pateikti pirmojo skyriaus pagrindiniai apibrėžimai ir rezultatai antros eilės diferencialinei lygčiai. Pavyzdžiuose išsamiai išanalizuotas gautų rezultatų pritaikymas uždaviniams su nelokaliosiomis kraštinėmis sąlygomis. Trečiajame skyriuje nagrinėjama antros eilės diskrečioji lygtis su dviem sąlygomis. Surastos diskrečiosios Gryno funkcijos išraiška ir jos egzistavimo sąlyga. Taip pat pateiktas dviejų Gryno funkcijų sąryšis, kuris leidžia surasti diskrečiosios... [toliau žr. visą tekstą]

Disertacijoje tiriami antros ir aukštesnės eilės diferencialinis ir diskretusis uždaviniai su įvairiomis, tame tarpe ir nelokaliosiomis, sąlygomis, kurios yra aprašytos tiesiškai nepriklausomais tiesiniais funkcionalais. Pateikiamos šių uždavinių Gryno funkcijų išraiškos ir jų egzistavimo sąlygos, jei žinoma homogeninės lygties fundamentalioji sistema. Gautas dviejų Gryno funkcijų sąryšis uždaviniams su ta pačia lygtimi, bet su papildomomis sąlygomis. Rezultatai pritaikomi uždaviniams su nelokaliosiomis kraštinėmis sąlygomis. Įvadiniame skyriuje aprašyta tiriamoji problema ir temos objektas, išanalizuotas temos aktualumas, išdėstyti darbo tikslai, uždaviniai, naudojama tyrimų metodika, mokslinis darbo naujumas ir gautų rezultatų reikšmė, pateikti ginamieji teiginiai ir darbo rezultatų aprobavimas. m-tosios eilės diferencialinis uždavinys ir jo Gryno funkcija nagrinėjami pirmajame skyriuje. Surastas uždavinio sprendinys, išreikštas per Gryno funkciją. Pateikta Gryno funkcijos egzistavimo sąlyga. Antrajame skyriuje pateikti pirmojo skyriaus pagrindiniai apibrėžimai ir rezultatai antros eilės diferencialinei lygčiai. Pavyzdžiuose išsamiai išanalizuotas gautų rezultatų pritaikymas uždaviniams su nelokaliosiomis kraštinėmis sąlygomis. Trečiajame skyriuje nagrinėjama antros eilės diskrečioji lygtis su dviem sąlygomis. Surastos diskrečiosios Gryno funkcijos išraiška ir jos egzistavimo sąlyga. Taip pat pateiktas dviejų Gryno funkcijų sąryšis, kuris leidžia surasti diskrečiosios... [toliau žr. visą tekstą] / In the dissertation, second-order and higher-order differential and discrete equations with additional conditions which are described by linearly independent linear functionals are investigated. The solutions to these problems, formulae and the existence conditions of Green's functions are presented, if the general solution of a homogeneous equation is known. The relation between two Green's functions of two nonhomogeneous problems for the same equation but with different additional conditions is obtained. These results are applied to problems with nonlocal boundary conditions. In the introduction the topicality of the problem is defined, the goals and tasks of the research are formulated, the scientific novelty of the dissertation, the methodology of research, the practical value and the significance of the results are presented. m-order differential problem and its Green's function are investigated in the first chapter. The relation between two Green's functions and the existence condition of Green's function are obtained. In the second chapter, the main definitions and results of the first chapter are formulated for the second-order differential equation with additional conditions. In the examples the application of the received results is analyzed for problems with nonlocal boundary conditions in detail. In the third chapter, the second-order difference equation with two additional conditions is considered. The expression of Green's function and its existence... [to full text]

Baigiamajame darbe išnagrinėta antros eilės paprastoji diferencialinė lygtis. Tam panaudojant faktorizacijos metodą. Taip pat sukonstruota sprendinių struktūra. Gautus sprendinius apibendrina suformuotos teoremos. / In this work, we study the ordinary differential equation of the second – order. Using the factorization method. We constructed the structure of solutions. At the result summarize the theorems.

Šiame darbe yra sudaryta ir analiziškai išspręsta spindulių eigos idealiuose lęšiuose, diferencialinė lygtis. Rastas paviršius, į kurį kritę spinduliai po lūžimo eina lygiagrečiai simetrijos ašiai. Aprašyta, kaip sklinda perėję per idealųjį lęšį iš idealaus ir ne iš idealaus taškinio šaltinio išėję šviesos spinduliai. / In the present work, the differential equation is being structured and solved by analysis of beams motion in ideal lenses. There was a surface on witch motioned beams, after the refraction, come in parallel with symmetric axis. Also it includes how to gleams spread after passing through the ideal lens from ideal and non-ideal spot source witch they came from.

This thesis develops a generic framework based on the Fourier transform for pricing and hedging of various options in equity, commodity, currency, and insurance markets. The pricing problem can be reduced to solving a partial integro-differential equation (PIDE). The Fourier Space Time-stepping (FST) framework developed in this thesis circumvents the problems associated with the existing finite difference methods by utilizing the Fourier transform to solve the PIDE. The FST framework-based methods are generic, highly efficient and rapidly convergent. The Fourier transform can be applied to the pricing PIDE to obtain a linear system of ordinary differential equations that can be solved explicitly. Solving the PIDE in Fourier space allows for the integral term to be handled efficiently and avoids the asymmetrical treatment of diffusion and integral terms, common in the finite difference schemes found in the literature. For path-independent options, prices can be obtained for a range of stock prices in one iteration of the algorithm. For exotic, path-dependent options, a time-stepping methodology is developed to handle barriers, free boundaries, and exercise policies. The thesis includes applications of the FST framework-based methods to a wide range of option pricing problems. Pricing of single- and multi-asset, European and path-dependent options under independent-increment exponential Levy stock price models, common in equity and insurance markets, can be done efficiently via the cornerstone FST method. Mean-reverting Levy spot price models, common in commodity markets, are handled by introducing a frequency transformation, which can be readily computed via scaling of the option value function. Generating stochastic volatility, to match the long-term equity options market data, and stochastic skew, observed in currency markets, is addressed by introducing a non-stationary extension of multi-dimensional Levy processes using regime-switching. Finally, codependent jumps in multi-asset models are introduced through copulas. The FST methods are computationally efficient, running in O(MN^d log_2 N) time with M time steps and N space points in each dimension on a d-dimensional grid. The methods achieve second-order convergence in space; for American options, a penalty method is used to attain second-order convergence in time. Furthermore, graphics processing units are utilized to further reduce the computational time of FST methods.

Two solution strategies for large, sparse, and structured algebraic systems of equations are considered. The first strategy is to construct efficient preconditioners for iterative solvers. The second is to reduce the sparse algebraic system to a smaller, dense system of equations, which are called the boundary summation equations. The proposed preconditioners perform well when applied to equations that are discretizations of linear first order partial differential equations. Analysis shows that also very simple iterative methods converge in a number of iterations that is independent of the number of unknowns, if our preconditioners are applied to certain scalar model problems. Numerical experiments indicate that this property holds also for more complicated cases, and a flow problem modeled by the nonlinear Euler equations is treated successfully. The reduction process is applicable to a large class of difference equations. There is no approximation involved in the reduction, so the solution of the original algebraic equations is determined exactly if the reduced system is solved exactly. The reduced system is well suited for iterative solution, especially if the original system of equations is a discretization of a first order differential equation. The technique is used for several problems, ranging from scalar model problems to a semi-implicit discretization of the compressible Navier-Stokes equations. Both strategies use the concept of fundamental solutions, either of differential or difference operators. An algorithm for computing fundamental solutions of difference operators is also presented.